Tracking and monitoring stress within the financial system is a key component of macroprudential policy. This paper introduces a new measure of contemporaneous stress: the Factor based Index of Systemic Stress (FISS). The aim of the index is to capture the common components of data describing...

This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main methodological innovation of the CISS is the...

This paper introduces a new indicator of current stress in the financial system as a whole named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped in accordance with standard definitions of systemic risk. The main innovative feature of the CISS is the...

This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main methodological innovation of the CISS is the...

This paper investigates empirically the relationship between stock market and banking sector development with data from 40 countries (representing 85% of global GDP) over a period of 53 years. When measured by ratios of stock market (i) capitalization to GDP; (ii) turnover to GDP; and (iii)...

This paper reviews the theoretical literature at the intersection of macroeconomics and finance to draw lessons on the connection between vulnerabilities in the financial system and the macroeconomy, and on how monetary policy affects that connection. This literature finds that financial...

We quantify the capital shortfall that results from a global financial crisis by using a macro-finance dynamic stochastic general equilibrium model that captures the interactions between the financial and real sectors of the economy. We show that a crisis similar to that observed in 2008...

This study investigates the amount of liquidity that is necessary to settle a given network of financial obligations. In our analysis, we assume sequential settlement, which is standard in real-world interbank settlement systems, instead of simultaneous settlement, which is typically assumed in...

Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...

Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...